证券行业研究框架及

行业研究框架及估值方法钦、2融资融券业务驱动因素分析行业业务结构及竞争态势经纪业务 驱动因素分析投行业务 驱动因素分析行业估值方法行业 及净资产营业收入（亿元）净利润（亿元）净资产（亿元）ROE-7001,4002,1002,8003,5002007200820092010经纪收入

承销收入

资管收入

利息收入

投资收入

其他收入1,3565219917792007200820092010净利润3,5113,6975,0195,7522007200820092010净资产39%14%20%14%2007200820092010ROE3佣金 化推动行业1976年

经纪业务佣金

化杠杆率扩大支持资本消耗型新业务创新业务的发展保证了收入的持续增长1.57%0.97%0.91%0.82%%0.730%.740.75%

0.800.72%1.17%

1.08%1.26%1.35%1.50%1.59%1.58%2.05%2.05%1.80%1.65%1.76%1.72%1980

1982

1984

1986

1988

19900%25%50%75%100%90

1994

1998

2002经纪业务收入占比持续下降经纪 承销 自营 直投 利息 其他-4

008

0012

0016

0020

001970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

20020%10%20%30%40%50%杠杆率ROE-1970

1974

1978

19821986

1990

1994

1998

2002营业收入350,000

$mn300,000250,000200,000150,000100,00050,0004行业市场集中度趋向分散经纪业务TOP10份额承销业务TOP10份额自营业务TOP10份额集合

TOP10份额经纪业务44.12%41.33%40.64%200820092010承销业务72.53%71.31%60.48%200820092010自营业务229.50%54.92%62.85%200820092010集合86.62%71.72%61.41%20082009201056融资融券业务驱动因素分析行业业务结构及竞争态势经纪业务 驱动因素分析投行业务 驱动因素分析行业估值方法经纪业务驱动因素经纪收入费率市值换手率化率市场成交投资者结构集中度新增市值存量市值服务水平节奏 市场涨跌交易方式7新兴市场新增市值增速更快市值

$

Billions化率IPO规模

$BillionsIPO规模/

市值17,2833,6133,8284,0081,5971,546USUKJPNCHNINDBRA119%185%65%77%90%65%USUKJPNCHNINDBRA3791572116USUKJPNCHNINDBRA0

21%0.25%0.38%1.80%0.67%0.42%USUKJPNCHNINDBRA8经纪业务驱动因素经纪收入费率市值换手率化率市场成交投资者结构集中度新增市值存量市值服务水平节奏 市场涨跌交易方式9换手率高于全球平均2010年全球主要市场平均持股期限0%100%200%300%400%500%600%700%800%900%982002200620100%100%200%300%400%500%600%700%800%

900%全球主要市场换手率变化US

UK

JPNCHN

TW

HK194469343116300612USUKJPNCHNTWHK10-1,0002,0003,0004,0005,0006,0007,000Jan-06

Oct-06

Jul-07

Apr-08

Jan-09

Oct-09

Jul-10

Apr-110.00%1.00%2.00%3.00%4.00%5.00%6.00%7.00%上证指数换手率受指数涨跌影响显著市场指数与换手率ⅠⅡ

Ⅲ日均换手率Ⅳ区间涨幅

换手率Ⅰ373%2.97%Ⅱ-69%1.58%Ⅲ82%2.68%Ⅳ区间段指数涨幅与

换手率时间

月数2006.01-2007.10

222007.11-2008.11

132008.12-2009.07

82009.08-2011.07

24-21%1.43%11投资者结构影响了 换手率市场公募与个人投资者持有市值占比市场机构与个人投资者持有市值占比384%219%401%1219%466%578%321%

314%2007200820092010市场公募与个人投资者换手率公募

个人50%25%0%100%75%市场机构与个人投资者持有市值占比个人

机构67.28%65.63%83.56%87.98%2007200820092010公募非公募25%0%50%75%100%199019941998200220062010个人机构12经纪业务驱动因素经纪收入费率市值换手率化率市场成交投资者结构集中度新增市值存量市值服务水平节奏 市场涨跌交易方式13网点供给增加是佣金率下降佣金率持续下降网点的无限供给是佣金率的0.085%0.102%0.131%0.142%0.159%0.04%0.06%0.08%0.10%0.12%0.14%0.16%0.18%200720082009201020111H-1.7个BP-1.1个BP-2.9个BP-1.7个BP3106311936624477553420002500300035004000450050002007200820092010201102+13+543+815+7614佣金率企稳的同时成本率上升月度调研数据显示佣金率短期企稳佣金率企稳的同时成本率在上升0.600.700.800.901.001.101.201.301.4009.0109.0309.0509.0709.0909.1110.0110.0310.0510.0710.0910.1111.0111.0311.0511.0750%55%60%65%70%75%80%2007200820092010-10203040506070海通营业收入海通利润率长江营业收入长江利润率15经纪业务亿元

20072008200920102011E上证指数5,2621,8213,27728082800换手率770%384%542%315%281%融资额7,4412,9625,1498,4886,000总市值327,140121,366243,939265,423272,667有效流通市值93,06445,214151,259193,110192,560化率123%39%72%67%63%日均 成交

1,8591,0712,1852,2432,250股基权净佣金率

0.159%0.142%0.131%0.102%0.087%佣金收入

1,7239681,5551,160975经纪业务收入1617融资融券业务驱动因素分析行业业务结构及竞争态势经纪业务 驱动因素分析投行业务 驱动因素分析行业估值方法投行业务 驱动承销保荐收入费率化率节奏规模项目规模政策超募比例市场涨跌市盈率财务顾问收入投行收入18市场涨跌和 政策影响 规模--9793733072,0434,0977341,3181,900485595528200720084572472009201020111H创业板中小板主板19承销费率受规模和市盈率影响大项目承销费率低、小项目承销费率高市盈率决定超募比例2009

2010超募比例影响承销费率6.28%7.57%5.42%5.47%5.22%5.94%5.50%5.94%1.68%1.92%2.35%2.17%4.03%200720082009201020111H创业板中小板主板53.3359.3326.8468%29.6719%81%127%124%

120%51.87

90%02040608020111H0%30%60%150%市盈率超募比例2

96%3.12%19%2.71%81%68%1.99%127%124%3.41%90%0.00%1.00%2.00%3.00%4.00%5.00%200720082009201020111H0%30%60%120%150%承销费率超募比例20投行业务投行业务收入亿元20072008200920102011E承销规模7,4412,9625,0148,4886,000其中：首发融资额4,5911,0372,0224,8923,599增发融资额2,8501,9262,9933,5962,401家数（家）299201243519500其中：首发家数12177111349350增发家数178124132170150市盈率（倍）29.6726.8453.3359.3351.87超募比例68%19%81%127%124%承销净费率1.99%2.96%2.71%3.12%3.41%佣金收入102771252482052122融资融券业务驱动因素分析行业业务结构及竞争态势经纪业务 驱动因素分析投行业务 驱动因素分析行业估值方法融资融券业务驱动因素融资融券收入佣金收入利差收入融资融券额换手率佣金率市场涨跌投资者门槛标的范围转融通制度利差23投资者门槛、标的数量比较大陆客户门槛：

1）通过融资融券业务基础知识测试；2）开立

账户18个月以上，

账户6个月以上；

3）个人投资者账户资产价值50万元以上标的数量：90只，占总

数的3.85%客户门槛：1)开立受托

账户满三个月；2)最近1年内委托

十笔以上。标的数量：681只，占总

数的91.90%24融资融券业务初期发展概况年份总成交额(A)融资交易额(B)B/2A％融券交易额(C)C/2A%(B+C)/2A％198925,40819503.841980.394.23199019,031481712.668422.2114.8719919,683449223.195002.5825.7719925,917350429.612792.3631.9719939,200743940.426033.2843.70199419,4761344234.5111502.9537.46199510,301819439.7710134.9244.69199613,1351100341.898223.1344.98199737,7052849837.7930844.0941.88199829,7622384440.0633255.5945.64199929,4242407040.9019413.3044.20融资融券交易概况25市场涨跌影响融资融券额融资融券余额随指数涨跌而变化融资融券交易额随指数涨跌而变化01,0002,0003,0004,0005,0006,0007,0001989-011990-041991-071992-101994-011995-041996-071997-101999-012000-042001-072002-102004-012005-042006-072007-102009-012010-0402,0004,0006,0008,00010,00012,00014,000融资融券余额（亿元）左轴指数右轴-10,00020,00030,00040,00050,00060,00070,0001994-7

1997-1

1999-7

2002-1

2004-7

2007-1

2009-702,0004,0006,0008,00010,00012,000融资融券交易额（亿元左轴）股价指数（右轴）26A市场融资融券规模统计融资融券余额持续增长-501001502002503002010.03

2010.06

2010.09

2010.12

2011.03

2011.060.00%0.10%0.20%0.30%0.40%融资融券交易额及占比持续增加融资融券交易额

交易额占比350

亿元-501001502002503003502010.03

2010.06

2010.09

2010.12

2011.03

2011.06融资融券余额亿元2011年以来月度平均余额230亿27融资融券利息收入=融资融券余额×利差（3%）佣金收入=

交易额×佣金费率（2‰）=融资融券余额×换手率×佣金费率（2‰）融资融券收入贡献敏感性两融余额持股天数300350400450500827.2331.7636.3040.8445.381023.5827.5131.4435.3739.301221.1524.6828.2031.7335.251419.4122.6525.8929.1232.361817.1019.9522.8025.6528.502829融资融券业务驱动因素分析行业业务结构及竞争态势经纪业务 驱动因素分析投行业务 驱动因素分析行业估值方法PE、PB估值法行业PE、PBEPS（元）PE（倍）BVPS（元）PB（倍）简称200920102011E200920102011E200920102011E200920102011E中信谨慎1.351.140.998.5810.2211.799.297.088.171.251.641.42海通中性0.550.450.4114.1817.5019.165.285.405.681.491.451.38华泰中性0.790.610.4713.0316.7921.982.895.876.193.551.751.66广发中性2.351.611.0313.2919.4030.268.197.7412.213.814.032.55光大中性0.830.640.5713.5717.4319.626.576.657.231.711.691.55招商中性1.040.900.8311.5713.3614.486.306.697.221.911.801.67宏源中性0.790.890.6318.4316.2423.224.485.007.863.242.911.85东北中性1.430.820.4412.6521.9241.534.785.425.653.783.333.20国元中性0.530.470.4318.3320.5522.287.707.637.761.261.271.25长江中性0.630.590.5013.7214.6717.334.204.395.272.061.981.64国金中性0.520.440.4123.5527.7529.532.593.023.434.694.033.54中性0.600.360.3024.3940.6649.062.613.824.015.573.813.62成大中性1.491.401.1810.5011.1913.267.208.339.512.171.881.64敖东中性2.382.161.5811.6412.8617.6010.6213.5815.162.612.041.83平均中性---14.8218.6123.65---2.792.402.06注：假设中信2011年以75.63亿元出售华夏基金51%股权后的资产；净利润中已考虑华夏基金股权出售收益；假设广发

2011年以27.41元/股价格发行6亿股；假设宏源

以15.10元/股增发4.64亿股。30佣金份额市价估值法简称总市值(亿元)经纪业务市场份额（%）单位份额市价指数净佣金率（%）佣金份额市价指数中信1,1567.261590.0692,315海通6454.101570.0861,836华泰5753.781520.0732,079广发9684.172320.0862,707光大3833.111230.0681,818招商5614.011400.0662,123宏源2851.292210.1082,049东北1160.721600.1191,350国元1901.061790.0931,932长江2401.711400.0911,547国金1220.661840.0991,8483201.721860.0573,277佣金份额市价估值法31PB与ROE估值法券商股PB与ROE具有相关性高盛PB随ROE而波动0%3%6%9%15%18%21%24%-1.002.003.004.005.006.00ROEPB国金广发东北成大敖东招商宏源光大长江海通国元12%华泰

中信PB=11.31*ROE+0.88-1.002.003.004.005.001999